Rates of convergence and asymptotic normality of curve estimators for ergodic diffusion processes
J. H. van Zanten · Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands · 2000
For ergodic diffusion processes, we study kernel-type estimators for the invariant density, its derivatives and the drift function. We determine rates of convergence and find the joint asymptotic distribution of the estimators at different points.